Freddie Mac · OTC:FMCC
Freddie Mac — Federal Home Loan Mortgage Corp (Fmcc, Fmccg, Fmcci, Fmccj, Fmccl, Fmccn, Fmcco, Fmccs, Fmcct, Fmcki, Fmckl, Fmckn, Frejn, Frejo) — Q2 2015 Earnings Presentation
28 slides from Freddie Mac's earnings presentation, Aug 4, 2015
Slide 1: Second Quarter 2015 Financial Results Supplement
Exhibit 99.2 Second Quarter 2015 Financial Results Supplement August 4, 2015
Slide 2: Table of contents
Table of contents Financial Results Segment Business Information 2 - Quarterly Financial Results 11 - Single-Family New Funding Volume Single-Family Management and Guarantee Fees Charged on New 3 - Financial Results - Key Drivers 12 - Acquisitions 4 - Financial Results - Key Drivers: Derivative Gain
Slide 3: Quarterly financial results
Quarterly financial results $ Millions 2Q15 vs 2Q15 1Q15 1Q15 1 Net interest income $ 3,969 $ 3,647 $ 322 2 Benefit for credit losses 857 499 358 3 Derivative gains (losses) 3,135 (2,403) 5,538 4 Other non-interest income (loss) (594) 256 (850) 5 Non-interest income (loss) 2,541 (2,147) 4,688 6 Non-
Slide 4: Financial results – key drivers
Financial results – key drivers Net Interest Income and Net Interest Yield Benefit (Provision) for Credit Losses $ Billions $ Billions Annual Annual Net interest income Net interest yield 2013: $16.5; 82 bps 2013: $2.5 2014: $14.3; 74 bps 2014: ($0.1) $4.0 $3.5 $3.7 $3.6 $3.6 $0.9 $0.6 $0.5 82 bps 7
Slide 5: Financial results – key drivers: Derivative gains (losses)
Financial results – key drivers: Derivative gains (losses) 2-Year and 10-Year LIBOR Rates Derivative Gains (Losses) Percent (%) Fair Value Changes vs. Interest Carry 1 $ Billions $3.1 $3.7 2.61 2.66 2.45 ($1.9) ($0.6) ($3.4) ($2.4) 2.29 2.19 2.03 2.13 ($0.7) ($0.6) ($0.7) ($0.6) ($0.5) ($1.3) ($1.8)
Slide 6: Comprehensive income
Comprehensive income $ Billions $3.9 $2.8 $1.9 $0.7 $0.3 2Q14 3Q14 4Q14 1Q15 2Q15 A Net income B Total other comprehensive income (loss), net of taxes ¹ C=A+B Comprehensive income 1 Consists of the after-tax changes in: (a) the unrealized gains and losses on available-for-sale securities; (b) the ef
Slide 7: Treasury draw requests and dividend payments
Treasury draw requests and dividend payments $ Billions Draw Requests From Treasury Dividend Payments to Treasury Cumulative Cumulative Total Total Total Senior Preferred Stock $72.3 Dividend Payments as of 6/30/15 $92.6 Outstanding Less: Initial Liquidation Preference 1 $1.0 3Q15 Dividend Obligatio
Slide 8: Segment financial results
Segment financial results $ Billions Single-Family Guarantee 1 Investments Multifamily $3.0 $0.5 $3.2 $0.4 $0.3 $0.5 $0.5 $0.4 $0.1 $0.2 $0.3 $0.1 $0.2 ($0.2) ($0.1) 1Q15 2Q15 1Q15 2Q15 1Q15 2Q15 Comprehensive Income Segment Earnings Segment Other Comprehensive Income (Loss) 1 Comprehensive income a
Slide 9: National home prices
National home prices 1 Cumulative decline of 6% since June 2006 (NSA Series) 170 United States (NSA) 2015Q2 NSA Index Growth: 3.7% 2015Q2 SA Index Growth: 1.2% 160 150 140 130 United States (SA) 120 110 Freddie Mac House Price Index (December 2000=100) 100 2005 2006 2007 2008 2009 2010 2011 2012 201
Slide 10: Home price performance by state
Home price performance by state June 2014 to June 2015 1 United States 5% NH 10% 5% WA 5% 4% ME 4% MT ND 4% VT 4% 9% MN 2% MA OR 5% 5% 3% NY 3% ID SD WI 7% RI 3% 3% MI 1% WY 3% CT -1% 5% PA NJ 1% IA 5% 9% NE 3% DE 3% 3% 3% OH NV 6% IL IN 6% 12% 1% MD 8% UT 3% 6% WV CO VA CA MO KY 3% DC 9% KS NC 6% T
Slide 11: Housing market support
Housing market support Number of Families Freddie Mac Helped 2 1 Single-Family Loan Workouts to Own or Rent a Home Number of Loans (000) In Thousands Cumulative Since 2009: 14,069 Cumulative Since 2009: 1,126 275 2,480 2,472 2,458 2,089 208 1,830 1,627 169 168 133 1,113 120 53 2009 2010 2011 2012 20
Slide 12: Single-family new funding volume
Single-family new funding volume $ Billions Annual 2013: $423 2014: $255 $101 $80 $77 $39 $71 $59 $28 $43 $35 $33 $62 $52 $33 $36 $26 2Q14 3Q14 4Q14 1Q15 2Q15 Refi UPB Purchase UPB Note: Totals may not add due to rounding. © Freddie Mac 11
Slide 13: Single-family management and guarantee fees charged on new acquisitions
Single-family management and guarantee fees charged on new acquisitions Quarterly Annual In Basis Points (bps), Annualized In Basis Points (bps) 48 47 47 47 45 47 41 31 27 25 20 2Q14 3Q14 4Q14 1Q15 2Q15 2009 2010 2011 2012 2013 2014 Single-Family Management and Guarantee Fee Charged on New Acquisiti
Slide 14: Single-family risk transfer transactions
Single-family risk transfer transactions Structured Agency Credit Risk Agency Credit Insurance Structure ® (STACR ®) Debt Note Issuances (ACIS® Reinsurance) Transactions $ Billions $ Millions $929.9 $4.9 $223.1 $4.1 $709.2 $2.0 $706.7 $1.1 $2.2 $77.4 2013 2014 YTD 2013 2014 YTD 2015 2015 2 Calculate
Slide 15: Single-family transferred credit risk
Single-family transferred credit risk 1 Single-family Transferred Credit Risk Based on Remaining Balance as of Period End $ Billions Mezzanine loss positions: Transferred to third parties First loss positions: Transferred to third parties $10.7 Mezzanine loss positions: Retained by Freddie Mac $8.8
Slide 16: Single-family credit quality - purchases
Single-family credit quality - purchases 1 Weighted Average Original LTV Ratio 2 Percent (%) Weighted Average Credit Score 756 755 755 756 97 91 76 76 749 751 75 762 73 744 70 70 758 759 67 757 756 753 82 75 76 73 80 71 77 77 68 748 67 747 67 744 740 66 738 721 727 713 2009 2010 2011 2012 2013 2014
Slide 17: Single-family credit quality – credit guarantee portfolio
Single-family credit quality – credit guarantee portfolio Concentration of Credit Risk Serious Delinquency Rates Percent (%) Percent (%) 7.93 6 9 7.66 7.59 7.10 12 6.54 19 83 3.11 3.12 3.10 2.97 2.75 63 2.07 1.96 1.88 1.73 1.53 0.66 0.70 0.75 0.75 0.70 6 2 0.23 0.23 0.24 0.22 0.21 % of Portfolio % o
Slide 18: Single-family real estate owned
Single-family real estate owned Property Inventory Historical Trend 2Q15 Activity Ending Property Inventory (Number of Properties) (Number of Properties) 47k 47k 45k 44k 36k 5,824 29k (9,078) 26k 23k 19k 22,738 19,484 03/31/15 Acquisitions Dispositions 06/30/15 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q1
Slide 19: Single-family mortgage market and Freddie Mac delinquency rates
Single-family mortgage market and Freddie Mac delinquency rates Single-family Serious Delinquency Rates 32 28 24 20 16 16.16% 12 8 4.24% 4 2.46% 1.73% 0 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 1 Total Mortgage Market 1 Prime1 Subprime Freddie Mac 2 1 Source: National Delinquen
Slide 20: Multifamily business volume and portfolio composition
Multifamily business volume and portfolio composition Multifamily New Business Volume Total Multifamily Portfolio $ Billions UPB $ Billions $29 $28 $180 $179 $177 $169 $167 $169 $26 $23 $20 $15 2010 2011 2012 2013 2014 YTD 12/31/10 12/31/11 12/31/12 12/31/13 12/31/14 06/30/15 2015 MF unsecuritized l
Slide 21: Multifamily percentage of affordable units financed
Multifamily percentage of affordable units financed Multifamily Acquisitions of Units by Area Median Income (AMI) % of Units Acquired 10% 7% 8% 10% 11% 11% 13% 18% 14% 13% 17% 15% 14% 16% 16% 19% 87% of units acquired year-to- 63% date June 30, 61% 67% 58% 61% 62% 59% 2015 are affordable to 56% hous
Slide 22: Multifamily securitization volume
Multifamily securitization volume K-Deal Securitization Volume 1 UPB $ Billions $28.0 $21.2 $21.3 $15.2 $13.7 $6.4 $2.1 2009 2010 2011 2012 2013 2014 YTD 2015 YTD 2009 2010 2011 2012 2013 2014 2015 Total 1 Total UPB $2.1 $6.4 $13.7 $21.2 $28.0 $21.3 $15.2 $108.0 Number of 2 6 12 17 19 17 12 85 Trans
Slide 23: Multifamily market and Freddie Mac delinquency rates
Multifamily market and Freddie Mac delinquency rates Percent 14 12 10 8 6 4 2 1.22% 0.41% 0.03% 0 0.00% 1Q11 3Q11 1Q12 3Q12 1Q13 3Q13 1Q14 3Q14 1Q15 Freddie Mac (60+ day) 1 FDIC Insured Institutions (90+ day) MF CMBS Market (60+ day) ACLI Investment Bulletin (60+ day) 1 See “MD&A – RISK MANAGEMENT–
Slide 24: Investments – Purchase Agreement portfolio limits
Investments – Purchase Agreement portfolio limits Mortgage Assets 1, 2 Indebtedness 1, 3 $ Billions $ Billions $663 $470 $470 $470 $470 $564 $564 $564 $564 $408 $399 $406 $383 $454 $451 $417 12/31/14 03/31/15 06/30/15 09/30/15 12/31/15 12/31/14 03/31/15 06/30/15 09/30/15 12/31/15 Mortgage-related in
Slide 25: Investments – mortgage-related investments portfolio composition
Investments – mortgage-related investments portfolio composition Mortgage-Related Investments Portfolio 1 $ Billions $755 $697 $653 $558 $461 $408 $383 12/31/09 12/31/10 12/31/11 12/31/12 12/31/13 12/31/14 06/30/15 Mortgage Loans 2 Non-Freddie Mac Mortgage-Related Securities (Non-Agency) Non-Freddie
Slide 26: Investments – mortgage-related investments portfolio: More liquid versus less liquid assets
Investments – mortgage-related investments portfolio: More liquid versus less liquid assets More Liquid versus Less Liquid Assets $ Billions $558 $461 36% $434 $420 $414 $408 $383 38% 37% 38% 41% 41% 42% 64% 62% 63% 62% 59% 59% 58% 12/31/12 12/31/13 03/31/14 06/30/14 03/30/14 12/31/14 06/30/15 Less
Slide 27: Interest-rate risk measures
Interest-rate risk measures Average Monthly PMVS-Level 1 Average Monthly Duration Gap 2 $ Millions Months 200 6 5 4 $146 3 150 $127 2 $122 $123 1 $105 $95 $99 0 100 $93 $90 $78 (1) (2) $55 50 (3) $26 $23 (4) (5) 0 (6) Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jun Jul Aug Sep Oct Nov Dec Ja
Slide 28: Safe Harbor Statements
Safe Harbor Statements Freddie Mac obligations Freddie Mac’s securities are obligations of Freddie Mac only. The securities, including any interest or return of discount on the securities, are not guaranteed by and are not debts or obligations of the United States or any federal agency or instrument